Derivatives
On any given day, the derivatives market is a busy place. You won’t catch us trying to cover it all. Instead, we’re looking for themes, trends and structural changes that affect the market’s buy-side participants.
Right now, our favourite topics include: Libor reform, structured investments and risk transfer, the search for yield, and new ways of accessing liquidity.
US retail funds further slash repo borrowing
Counterparty Radar: Manager activity in Q3 2022 lowest in nearly three years; BofA surpasses JP Morgan as top dealer
Simplify bursts into equity index options lead
Counterparty Radar: US mutual funds added exposure to sector in Q3
Capital Group spearheads mutual fund trim of IR swaps books
Counterparty Radar: Manager cut 70% of its position in Q3 as space shed roughly $174 billion in holdings
PGIM cuts corporate CDSs as US funds shed volume
Counterparty Radar: Morgan Stanley retains top dealer spot in single-name CDS trades for mutual funds
Booming US fund swaptions market boosts Morgan Stanley
Counterparty Radar: Nomura cements position as leading foreign-owned dealer in the space
Morgan Stanley IM slashes FX options book
Counterparty Radar: Manager’s reduction tanks JP Morgan’s market share with sector
Capital Group, Pimco lead tilt to bought index CDSs
Counterparty Radar: US mutual funds added $7.8bn of bought protection, growing sector to $169bn in Q3
PGIM pares back long-bond options bets
Counterparty Radar: Barclays benefits from manager’s Q3 portfolio changes
US mutual funds abandon inflation swaps
Counterparty Radar: Volumes dropped to new lows in Q3 as price expectations cooled
CLO equity investors stung by Libor basis
Growing mismatch between one- and three-month tenors slashes payouts by a third
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
Inflation swaps market for US funds comes to standstill
Counterparty Radar: Goldman Sachs moves to top dealer spot for non-cleared trades
BlackRock slashes book as IR swap market volume rises
Counterparty Radar: Pimco’s book surpassed $40 billion in Q2, growing to half of mutual fund space
US mutual funds pulled back from repo market in Q2
Counterparty Radar: Cash borrowing fell to lowest level since 2020; JP Morgan remains top dealer
PGIM grows sovereign-referencing CDS book in falling market
Counterparty Radar: US mutual funds cut $2bn in single-name swaps in Q2, making largest reductions in SSA trades
Pimco dumps credit options as US funds slim holdings
Counterparty Radar: Space shrinks 30% in Q2 following three consecutive quarters of growth
Virtus, FT boosted sold single-stock calls amid Q2 contraction
Counterparty Radar: US mutual fund managers cut $4.3 billion in individual equity options
PGIM increases credit hedges as funds add bought index CDSs
Counterparty Radar: Morgan Stanley added market share, but Goldman stayed top among dealers
Nomura’s swaptions volume jumps in Q2 on Pimco trades
Counterparty Radar: Japanese bank triples size of US mutual funds book despite market contraction
T Rowe, JP Morgan AM defy equity index options retreat
Counterparty Radar: US mutual funds cut $15.4 billion from their books in Q2 2022
HSBC claims top FX forwards spot as US banks fall back
Counterparty Radar: Morgan Stanley slips for first time since Q2 2021 amid wider volume decline
Mutual funds dialled up bullish bets with stock options in Q1
Counterparty Radar: Market contracted by $3.9 billion as US managers decreased sold calls
JP Morgan extends run as top repo dealer to US funds
Counterparty Radar: New data shows wide variation in haircuts, with biggest clients – like BlackRock and Pimco – getting best terms
JP Morgan AM leads US funds in equity index options buildout
Counterparty Radar: S&P 500 puts and calls grow 10% in Q1